private static TermStructure CalcCurveFromMaturity(DateTime Maturity, DateTime StartDate, double CouponRate,
NextWorkingDayConvention nextDay, int Freq, Dictionary <DateTime, DateTime> Holidays,
bool FixedCashPayments)
{
List <TermPoint> points = new List <TermPoint>();
DateTime pointDate = Maturity;
bool lastPoint = true;
while (pointDate > StartDate)
{
if (lastPoint)
{
// Only do the last point once, decrement the date next time around
lastPoint = false;
}
else
{
pointDate = pointDate.AddMonths(-(12 / Freq));
}
TermPoint point = new TermPoint();
point.Rate = CouponRate;
point.PointDate = pointDate;
int month = point.PointDate.Month;
point.PayDate = GetWorkingDayDate(1, pointDate.AddDays(-1), Holidays, nextDay);
if (!FixedCashPayments)
{
point.PointDate = point.PayDate;
}
points.Add(point);
}
;
TermStructure ts = new TermStructure();
for (int i = points.Count - 1; i >= 0; i--)
{
ts.Points.Add(points[i]);
}
return(ts);
}
internal static TermStructure GetTermStructure(DateTime Maturity, DateTime StartDate, DateTime FirstCouponDate, double CouponRate,
DayCountConvention dayCount, NextWorkingDayConvention nextDay, int Freq, Dictionary <DateTime, DateTime> Holidays,
bool FixedCashPayments)
{
TermStructure ts = CalcCurveFromMaturity(Maturity, StartDate, CouponRate, nextDay, Freq, Holidays, false);
ts.DayCount = dayCount;
// Calc daycount depending on accrual rule
int yearDays = DaysInYear(dayCount);
int point;
TermPoint tp;
TermPoint ltp;
for (point = 1; point < ts.PointCount; point++)
{
tp = ts.Points[point];
ltp = ts.Points[point - 1];
tp.Term = DaysBetween(ltp.PointDate, tp.PointDate, dayCount);
if (FixedCashPayments)
{
int lastYear = (int)tp.PointDate.Subtract(tp.PointDate.AddYears(-1)).TotalDays;
if (tp.Term <= yearDays || lastYear == -366)
{
tp.EffectiveRate = tp.Rate / Freq * yearDays / tp.Term;
}
else
{
tp.EffectiveRate = tp.Rate;
}
}
else
{
tp.EffectiveRate = tp.Rate;
}
}
point = 0;
while (point > -1 && ts.PointCount > 1)
{
tp = ts.Points[point];
if (tp.PointDate < StartDate)
{
tp.PointDate = StartDate;
tp = ts.Points[point + 1];
tp.Term = DaysBetween(StartDate, tp.PointDate, dayCount);
}
else if (tp.PointDate > StartDate && tp.PointDate < FirstCouponDate && point != 0)
{
ts.Points.Remove(tp);
if (point < ts.PointCount && point > 0)
{
tp = ts.Points[point];
ltp = ts.Points[point - 1];
tp.Term = DaysBetween(ltp.PointDate, tp.PointDate, dayCount);
}
point--;
}
else if (tp.PointDate >= FirstCouponDate)
{
point = -2; // get out
}
point++;
}
int totalTerm = 0;
for (point = 1; point < ts.PointCount; point++)
{
tp = ts.Points[point];
ltp = ts.Points[point - 1];
// BUT for actual / actual and in a leap year some more calculations need to be done.
// e.g. Period 2 jan 96 to 1 jan 97 = (365/366 + 1/365) NOT including the last day but including the first day
if (dayCount == DayCountConvention.eActual_Actual && FixedCashPayments == false &&
ltp.PointDate.Year != tp.PointDate.Year)
{
tp.YearFraction =
ltp.PointDate.Subtract(DateTime.Parse("1 Jan " + ltp.PointDate.AddYears(1).Year)).TotalDays
/
DateTime.Parse("1 Jan " + ltp.PointDate.AddYears(1).Year).Subtract(DateTime.Parse("1 Jan " + ltp.PointDate.Year)).TotalDays
+
tp.PointDate.Subtract(DateTime.Parse("1 Jan " + tp.PointDate.Year)).TotalDays
/
DateTime.Parse("1 Jan " + tp.PointDate.AddYears(1).Year).Subtract(DateTime.Parse("1 Jan " + tp.PointDate.Year)).TotalDays;
}
else
{
if (tp.Rate > 0 && FixedCashPayments)
{
tp.YearFraction = tp.EffectiveRate * tp.Term / yearDays / tp.Rate;
}
else
{
tp.YearFraction = (double)tp.Term / (double)yearDays;
}
}
tp.Amount = tp.Rate * tp.YearFraction;
// Reset daycounts to be cummulative
totalTerm += tp.Term;
tp.Term = totalTerm;
}
return(ts);
}
internal static DateTime GetWorkingDayDate(int workingDays, DateTime Start, Dictionary <DateTime, DateTime> Holidays, NextWorkingDayConvention nd)
{
int moveDay;
int startMonth;
int days = 0;
DateTime workDay;
// Adjust for preceeding working days
if (workingDays < 0)
{
// We are moving backwards, just like H. G. Wells
moveDay = -1;
}
else
{
moveDay = 1;
}
workDay = Start;
startMonth = Start.Month;
while (days != workingDays)
{
workDay = workDay.AddDays(moveDay);
// Is it a weekend
if (workDay.DayOfWeek != DayOfWeek.Saturday && workDay.DayOfWeek != DayOfWeek.Sunday)
{
// Is it a Holiday
if (!Holidays.ContainsKey(workDay))
{
// It is a working day. Increment our counter */
days += moveDay;
}
}
}
if (nd == NextWorkingDayConvention.eNextWorkDayUnlessNewMonth)
{
// Check to see if it has gone to the next month
if (workDay.Month != startMonth)
{
// It did, oh dear, we didn't want that to happen !
// We need the last business day of the month we were in
workDay = GetWorkingDayDate(-1, DateTime.Parse("1 " + workDay.ToString("MMM yyyy")), Holidays, nd);
}
}
return(workDay);
}
